feat: add latency adjustment for cross-exchange backtesting when the data is collected at a site that differs from the site where the strategy is performed.

nkaz001 / hftbacktest

A high-frequency trading and market-making backtesting tool in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books, with real-world crypto market-making examples for Binance Futures

MIT License

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feat: add latency adjustment for cross-exchange backtesting when the data is collected at a site that differs from the site where the strategy is performed. #123

Closed nkaz001 closed 3 weeks ago

nkaz001 commented 4 weeks ago

WIP